Maria do Rosário Grossinho
Professor Maria do Rosário Grossinho is a member of the Department of Mathematics at Lisbon School of Economics and Management of Universidade de Lisboa. Her main scientific interests are differential equations and functional analysis with applications to mathematical finance in view. She wrote three books and more than fifty works in her domain of expertise.
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.